Mean-variance asset liability management with state-dependent risk aversion

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<dc:date>2017-03-01</dc:date>
<dc:description xml:lang="es">Sumario: This article investigates the asset liability management problem with state-dependent risk aversion under the mean-variance criterion.
The investor allocates the wealth among multiple assets including a risk-free asset and multiple risky assets governed by a system
of geometric Brownian motion stochastic differential equations, and the investor faces the risk of paying uncontrollable random liabilities.
The state-dependent risk aversion is taken into account in our model, linking the risk aversion to the current wealth held by the
investor. An extended Hamilton-Jacobi-Bellman system is established for the optimization of asset liability management, and by solving
the extended Hamilton-Jacobi-Bellman system, the analytical closed-form expressions for the time-inconsistent optimal investment
strategies and the optimal value function are derived. Finally, numerical examples are presented to illustrate our results.</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/160181.do</dc:identifier>
<dc:language>spa</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:subject xml:lang="es">Análisis de riesgos</dc:subject>
<dc:subject xml:lang="es">Cálculo actuarial</dc:subject>
<dc:subject xml:lang="es">Matemática del seguro</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">Mean-variance asset liability management with state-dependent risk aversion</dc:title>
<dc:relation xml:lang="es">En: North American actuarial journal. - Schaumburg : Society of Actuaries, 1997- = ISSN 1092-0277. - 01/03/2017 Tomo 21 Número 1 - 2017 , p. 87-106</dc:relation>
</rdf:Description>
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